Citation profile for Jan Baldeaux

Jan Baldeaux : Citation Profile

University of Technology Sydney
University of Technology Sydney

H index

i10 index

Citations

RESEARCH PRODUCTION:

Articles

Papers

RESEARCH ACTIVITY:

   3 years (2010 - 2013). See details.
   Cites by year: 19
   Journals where Jan Baldeaux has often published
   Relations with other researchers
   Recent citing documents: 7.    Total self citations: 3 (5 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba957
   Updated: 2023-05-27    RAS profile: 2013-06-27
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Jan Baldeaux.

Is cited by:

Platen, Eckhard (5)

Mancino, Maria Elvira (1)

Roubaud, David (1)

Bouri, Elie (1)

McWalter, Thomas (1)

Escobar Anel, Marcos (1)

F. Saporito, Yuri (1)

Goutte, Stéphane (1)

Pascucci, Andrea (1)

Cites to:

Platen, Eckhard (28)

DA FONSECA, José (4)

Itkin, Andrey (4)

Tebaldi, Claudio (3)

Hulley, Hardy (3)

Markowitz, Harry (3)

Brigo, Damiano (2)

Scholes, Myron (2)

Fang, Fang (2)

Oosterlee, Cornelis (2)

Ielpo, Florian (2)

Main data

Where Jan Baldeaux has published?

Working Papers Series with more than one paper published	# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney	6
Papers / arXiv.org	4

Recent works citing Jan Baldeaux (2022 and 2021)

Year	Title of citing document
2022	Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models. (2018). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:1812.05859. Full description at Econpapers \|\| Download paper
2021	Joint Modelling and Calibration of SPX and VIX by Optimal Transport. (2020). Wang, Shiyi ; Obloj, Jan ; Loeper, Gregoire ; Guo, Ivan. In: Papers. RePEc:arx:papers:2004.02198. Full description at Econpapers \|\| Download paper
2021	Explicit solution simulation method for the 3/2 model. (2020). MacKay, Anne ; Kouritzin, Michael A ; Ren, Iro. In: Papers. RePEc:arx:papers:2009.09058. Full description at Econpapers \|\| Download paper
2021	Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options. (2021). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2101.00299. Full description at Econpapers \|\| Download paper
2021	Rough multifactor volatility for SPX and VIX options. (2021). Pannier, Alexandre ; Muguruza, Aitor ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2112.14310. Full description at Econpapers \|\| Download paper
2021	Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. (2021). Nguyen, Duy ; Kirkby, Lars J ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1046-1062. Full description at Econpapers \|\| Download paper
2021	Modelling the volatility of crude oil returns: Jumps and volatility forecasts. (2021). Roubaud, David ; Dutta, Anupam ; Bouri, Elie. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:889-897. Full description at Econpapers \|\| Download paper

Works by Jan Baldeaux:

Year	Title	Type	Cited
2011	Exact Simulation of the 3/2 Model In: Papers. [Full Text][Citation analysis]	paper	13
2012	Quasi-Monte Carlo methods for the Heston model In: Papers. [Full Text][Citation analysis]	paper	2
2012	Quasi-Monte Carol Methods for the Heston Model.(2012) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2	paper
2012	Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model In: Papers. [Full Text][Citation analysis]	paper	30
2012	Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model.(2012) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30	paper
2012	Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods In: Papers. [Full Text][Citation analysis]	paper	0
2010	Static Replication of Forward-Start Claims and Realized Variance Swaps In: Applied Mathematical Finance. [Full Text][Citation analysis]	article	4
2012	Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition In: Research Paper Series. [Full Text][Citation analysis]	paper	0
2012	A Tractable Model for Indices Approximating the Growth Optimal Portfolio In: Research Paper Series. [Full Text][Citation analysis]	paper	6
2013	Credit Derivative Evaluation and CVA under the Benchmark Approach In: Research Paper Series. [Full Text][Citation analysis]	paper	0
2013	Liability Driven Investments under a Benchmark Based Approach In: Research Paper Series. [Full Text][Citation analysis]	paper	2